AG Options History — September 2008

In September 2008, AG traded between $40.99 and $58.88. ATM implied volatility averaged 62.4%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 8.1% (HV 20d: 54.2%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2008-09-09: Highest Volume — 5,378 contracts
  • 2008-09-29: Largest IV spike — 38.3% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.68$40.99$58.88$58.88$42.61
Max Pain$55.24$50.00$60.00$60.00$50.00
ATM IV62.4%46.5%89.3%46.5%70.9%
Expected Move17.7%13.3%25.6%13.3%20.3%
HV 20d54.2%38.1%72.7%41.1%72.7%
HV 60d60.4%57.6%65.4%58.7%65.4%
IV Rank60.0%29.6%100.0%29.6%65.5%
IV Percentile85.4%41.3%100.0%41.3%96.4%
Term Structure0.2%-8.8%4.6%-0.3%3.5%
VWIV61.8%46.7%86.0%47.0%74.0%
Skew 25d7.0%3.0%19.9%7.3%19.9%
Skew 10d12.4%2.6%34.0%20.6%34.0%
Call IV 25d58.5%43.4%84.8%43.4%58.9%
Put IV 25d65.5%50.1%89.4%50.8%78.8%
Bid-Ask Spread %22.048.4283.008.4283.00
Gamma HHI0.150.110.190.170.11
Net GEX-154.7K-326.7K136.9K136.9K-98.8K
Net DEX9.9M-13.4M22.8M-13.4M19.7M
Net VEX-280.5K-330.2K-194.2K-330.2K-212.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.171.790.980.53
Total Volume1,448.0952035,378990750
Total OI31,12127,74435,43627,74429,598

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$58.88$60.0046.5%13.3%41.1%29.6%47.0%7.3%-0.3%136.9K-13.4M-330.2K0.988.4249949116,14911,595
2008-09-03$56.10$60.0048.6%13.9%44.9%31.9%46.7%3.7%-0.6%-80.1K-3.1M-313.6K0.4619.331,22756616,10911,762
2008-09-04$53.42$60.0052.9%15.2%42.2%41.4%55.2%6.4%-2.6%-98.8K4.5M-301.5K1.519.591,2201,84416,74312,022
2008-09-05$53.95$60.0052.1%14.5%40.4%39.6%50.9%6.6%4.6%-169.2K3.5M-314.1K0.859.9464754717,12213,066
2008-09-08$52.90$60.0056.1%15.0%38.1%46.9%51.8%5.6%3.2%-214.9K7.2M-298.7K0.6216.4586353517,14213,092
2008-09-09$48.32$60.0066.6%17.1%48.8%70.8%59.7%3.0%1.7%-256.1K17.4M-264.7K1.0620.022,6122,76616,97113,222
2008-09-10$48.34$60.0061.2%16.8%48.9%58.5%58.8%4.2%1.2%-326.7K20.0M-283.2K1.5810.186551,03618,70315,132
2008-09-11$49.57$55.0059.3%17.0%49.0%54.2%59.6%5.2%1.5%-312.1K16.8M-297.8K0.4810.6432615518,95815,586
2008-09-12$51.41$55.0058.2%16.7%48.3%51.6%58.4%6.4%2.6%-222.6K8.2M-311.4K0.9222.3446843119,15715,009
2008-09-15$48.44$55.0066.3%19.0%51.5%70.3%67.2%7.1%-2.2%-302.9K15.3M-284.8K1.6125.0621634819,34714,913
2008-09-16$50.26$55.0063.3%18.2%53.8%63.4%63.7%6.1%0.7%-300.4K11.2M-294.0K0.9127.1260855619,46714,963
2008-09-17$47.09$55.0072.2%20.7%57.4%83.6%70.3%4.9%-1.9%-321.3K18.1M-275.2K0.5814.5077745119,67415,175
2008-09-18$49.83$55.0068.8%19.7%61.2%75.9%69.2%5.8%-3.1%-275.7K10.2M-293.7K0.7932.961,4291,12420,23415,129
2008-09-19$50.72$55.0064.7%18.6%62.0%66.6%64.2%7.7%-1.7%-101.6K4.1M-300.7K1.4627.1518827420,67014,766
2008-09-22$50.36$55.0063.1%18.1%61.7%62.8%62.4%7.0%1.4%19.5K2.3M-293.4K1.0215.4172774516,14412,383
2008-09-23$49.08$50.0065.0%18.6%62.0%67.1%67.8%8.9%-1.3%-1.8K5.9M-278.2K1.5714.537912416,26212,312
2008-09-24$47.64$50.0063.6%18.2%61.9%63.9%64.0%9.4%1.6%-40.9K10.5M-259.2K1.7915.0429853416,28812,321
2008-09-25$47.57$50.0057.2%16.4%61.4%49.3%57.4%7.5%4.3%-72.1K11.7M-250.7K0.4718.7585340316,27012,254
2008-09-26$45.85$50.0064.6%18.5%61.8%66.3%64.0%9.4%0.5%-93.8K15.2M-238.2K1.6418.8046476216,32012,432
2008-09-29$40.99$50.0089.3%25.6%70.4%100.0%86.0%4.7%-8.8%-114.5K22.8M-194.2K0.1743.531,55026216,25312,826
2008-09-30$42.61$50.0070.9%20.3%72.7%65.5%74.0%19.9%3.5%-98.8K19.7M-212.5K0.5383.0048926116,71512,883